用新数据和多模型对比,找出挪威五大电力区最优电价预测方法。
Electricity price forecasting across Norway's five bidding zones in the post-crisis era
- 构建2019-2025年多模态小时级数据集,评估八类模型在五个区域的表现。
- LightGBM在所有区域表现最佳,平均误差1.60–5.58欧元/兆瓦时。
- 虽仅靠历史价格和日历变量可近似全模型效果,但外部变量对高压市场期仍关键。
挪威电力市场以水电为主,但2021-2022年能源危机及与欧洲大陆更强整合改变了价格形成机制,使基于历史数据训练的预测模型可靠性下降。尽管亟需更新模型,但缺乏统一基准来评估各结构差异区域中特征贡献。本文对诺尔帕电力市场全部五个挪威投标区域的一步前向电价预测进行了全面评估。构建了覆盖2019-2025年的多模态小时级数据集,评估了包括LightGBM、带外生变量的自回归模型及先进深度学习架构在内的八种模型家族,采用严格因果测试集。通过滚动起源回测、留一组特征消融和条件状态分析,拆解模型性能与特征效用。结果表明,LightGBM在所有区域表现最优,平均绝对误差为1.60至5.58欧元/兆瓦时;而在北部区域,带岭回归的外生变量自回归模型仍是极具竞争力的线性基准。特征消融显示,仅依赖滞后价格和日历变量的模型已具备高精度,常接近甚至匹配全多模态模型表现。然而,条件状态分析表明,水库水位和天然气价格等外部特征对划分预测误差至关重要,在市场压力时期误差显著上升。这凸显了模型可解释性与状态感知对面临市场动态结构性变化的决策者的实际价值。
原文摘要 · Abstract (English)
Norway's electricity market is heavily dominated by hydropower, but the 2021-2022 energy crisis and stronger integration with Continental Europe have fundamentally altered price formation, reducing the reliability of forecasting models calibrated on historical data. Despite the critical need for updated models, a unified benchmark evaluating feature contributions across all structurally diverse Norwegian bidding zones remains lacking. Here we present a comprehensive evaluation of one-step-ahead forecasting of the Nord Pool market across all five Norwegian bidding zones. We constructed a multimodal hourly dataset spanning 2019-2025 and evaluated eight forecasting model families, including Light Gradient Boosting Machine (LightGBM), autoregressive models with exogenous variables, and advanced deep learning architectures, using a strictly causal test set. We implemented robust rolling-origin backtesting, leave-one-group-out feature ablation, and conditional regime analysis to dissect model performance and feature utility. Our results show that LightGBM achieves the best performance in every zone, with mean absolute error ranging from 1.60 to 5.58 euros per megawatt-hour, while a ridge-regularized autoregressive model with exogenous variables remains a highly competitive linear benchmark in northern zones. Feature ablation reveals that models relying solely on lagged prices and calendar variables achieve high accuracy and often match or closely approach the performance of the full multimodal model. However, conditional regime analysis demonstrates that external features like reservoir levels and gas prices remain crucial to stratify forecast errors, which consistently increase under stressed market regimes. This highlights the practical value of model interpretability and regime awareness for decision makers facing structural changes in market dynamics.
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